Steam, by definition, is a clear vapor. What you see in those steam rooms is fog which is created by temperature differentials. Frequently thicker early on in a steam shower as the heat reacts to the cool surfaces in the steam room, fog is enhanced in steam rooms with lots of glass, marble, natural stone, or other heat absorbent materials. This can also be achieved by turning your shower on. See this similar post below.

You need to create a temperature differential in your steam shower. Try entering the steam room without letting the room warm up first so that the walls and surfaces are still cool. You can also turn on the shower. . . the colder the water, the thicker the fog you will create. Running water can enhance your steam shower in many ways so play around and see what tickles your fancy!